Finance

SAN Move Probability $13.70 +0.19 (+1.4%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

← Back to SAN Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
58.7%
Stock touched +5.0% ($14.38) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
37.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.57x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.9%
$12.62 — $14.78

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-09-13 to 2026-10-13). The colored bar indicates the win zone for +5.0%.

-20.0% to -16.9%: 2 occurrences (0.4%) -18.5% -16.9% to -13.7%: 5 occurrences (1.0%) -13.7% to -10.6%: 5 occurrences (1.0%) -10.6% to -7.4%: 15 occurrences (3.0%) -9.0% -7.4% to -4.3%: 30 occurrences (5.9%) -4.3% to -1.2%: 63 occurrences (12.4%) -1.2% to +2.0%: 103 occurrences (20.3%) 0.4% +2.0% to +5.1%: 99 occurrences (19.5%) +5.1% to +8.3%: 82 occurrences (16.1%) +8.3% to +11.4%: 50 occurrences (9.8%) 9.9% +11.4% to +14.6%: 31 occurrences (6.1%) +14.6% to +17.7%: 11 occurrences (2.2%) +17.7% to +20.9%: 6 occurrences (1.2%) 19.3% +20.9% to +24.0%: 2 occurrences (0.4%) +24.0% to +27.1%: 2 occurrences (0.4%) +27.1% to +30.3%: 2 occurrences (0.4%) 28.7%
Historical returns Target move zone (+5.0%+) Target threshold bin

Probability Breakdown: Empirical vs. Theoretical Models

Comparing actual market back-data against Black-Scholes and Fat-Tail adjustments.

Model / Methodology Touch Probability Expiration Close Probability What It Tells You
Empirical Back-Data (Actual History) 58.7% 37.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 21.0% Adjusts normal bell curve for real-world skewness (-0.2) and kurtosis (3.14).
Standard Normal (Black-Scholes / GBM) 53.6% 26.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 61.8% 39.3% Filters for historical windows that started with volatility similar to current 20-day HV (364 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 33.4%
  • Recent 20-Day HV: 33.3%
  • Parkinson Intraday Volatility: 17.8%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +2.8%
  • Top 10% Move (90th percentile): +11.5%
  • Bottom 10% Move (10th percentile): -5.0%
  • Max Historical Gain (14d): +30.3%
  • Max Historical Loss (14d): -20.0%